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     dug
Member
Username: dug
Post Number: 209
Registered: 07-2005Rating: N/A
Votes: 0
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| | Monday, August 29, 2005 - 09:00 pm: | 
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Hi Colin,Robin
This topic was gone into awhile ago but I think the thread is archived and locked.
So I'm asking you as a data client of the ASX if you can advise if historical Dollar turnover daily in each share is available to the General Public.
As historical daily Volume is available,all that is needed for a VWAP indicator is the total daily Dollars 'spent',turned over,in each share.
My own thinking on VWAP is it may be useful in wide ATR trading shares and/or strong trending ones.I think in these cases,one may find a significant divergence from Closing price.I see it as a short termer[30/60 days] and I'm unsure of whether it should be fixed as a provided figure for a week/month or be a dynamic moving average,expedential/simple but I do think in some cases VWAP would provide a 'finer' figure than applying all volume to the Closing Price.
The most sophisticated use I've seen of VWAP is in justifying premiums on Takeover Offers ie the 'predator' states "This is a 30% premium on the last month's trading VWAP"etc.
Furthermore I feel this may just be a 'Bell 'n' Whistle' factor that could separate IC chart package from other AlsoRans,though I doubt it's patentable,but IC could be First and give you an Edge,as they say.
Anyway,it all boils down to whether that historical $ turnover info is available.If you know where do ya get it?post in Integrated thread so the computer whizzoze can check it out!
regards,
John
Dig for it.
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dug
Member
Username: dug
Post Number: 280
Registered: 07-2005Rating: N/A
Votes: 0
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| | Monday, September 12, 2005 - 08:25 pm: |
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I realise you've been busy with more important matters than another indicator called VWAP.
But,well,I just fear for my grammar talking direct to the ASX.I'm terrified they'll say "Yeah you can get it .The Dollar Sale Value Total for the All Ords.It's x bucks"like I'd balk at $5 and I think the ASX wouldn't want to know about my 'ground breaking' research and my request for a Grant.
So Colin/Robin next time your doing your ASX client negotiations ,will you ask where $$$ Value for EACH share [for preference]can be 'GOT',like another FREE site that has VALUE $ of each days TOTAL from transactions?
because I know YOU KNOW,C'n'R
VWAP is Volume Weighted Average Price and is calculated }div'eden-Total in Dollars Day SALES
by TOTAL of ### Transacted
and Volume Info is Available.Where's the DOLLARS?
regards,
John aka jr
;}
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Dig for it.
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ingot54
Member
Username: ingot54
Post Number: 771
Registered: 05-2004Rating: 
Votes: 4
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| | Monday, September 12, 2005 - 09:51 pm: |
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(Message edited by Ingot54 on September 12, 2005)
Keep Smiling
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hilarius
Member
Username: hilarius
Post Number: 1023
Registered: 04-2004Rating: N/A
Votes: 0
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| | Monday, September 12, 2005 - 09:54 pm: |
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Good Evening
I regard VWAP as an extremely valuable indicator of the true underlying price for a day, week, or month
It is the actual weighted average price of trades processed and as such shows the true trend within the extremes of open, low, high and close
It is the real value indicator ... expressing the actual average price paid by the big end of town (main driver) and mums and dads (occasional co-drivers)
It cuts through all the noise of the market
I support the idea of a VWAP line being available on Incredible Charts, daily, weekly and monthly, as and when the development schedule permits
With Best Wishes
Hilarius
I come in peace to share my thoughts and to shine my candle light on possible long term opportunities
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colin_twiggs
Member
Username: colin_twiggs
Post Number: 2048
Registered: 09-2002Rating: N/A
Votes: 0
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| | Tuesday, September 13, 2005 - 11:58 am: |
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Hilarius, Ingot & Dug,
I have asked our data suppliers whether they can provide Total Value Traded for individual stocks.
Regards, Colin
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dug
Member
Username: dug
Post Number: 299
Registered: 07-2005Rating: N/A
Votes: 0
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| | Thursday, September 15, 2005 - 12:39 pm: |
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Had a thought,Colin.Don't worry it may save you Money!
Might be expensive to buy Historic Data.As much as I know,this to now has been 'Specialist Data';I'm wondering that if this is kept as only a 30days and below,indicator,well,just start up the data from Now and presto even in 10days you'll have something happening,and well,I vote for ANYTHING Happening! and ditch the need for Definitive,like who knows VWAP,what'll it do?show?give lookout for?
Anyhow,what I'm saying,Colin is find out if you can just START getting the dollar/indiv stock figures,even if only ASX and even kept to the ALL ORDS,and leave the real swamp to fester.
of course Colin TYT*-takeyatime.
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colin_twiggs
Member
Username: colin_twiggs
Post Number: 2063
Registered: 09-2002Rating: N/A
Votes: 0
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| | Thursday, September 15, 2005 - 05:19 pm: |
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Dug,
Our data suppliers have informed us that they can supply us with market turnover for individual stocks; so we can calculate VWAP.
It will take a bit of time though because we need to adjust the IC compressed data format to include turnover.
Regards
Colin
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dug
Member
Username: dug
Post Number: 304
Registered: 07-2005Rating: N/A
Votes: 0
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| | Thursday, September 15, 2005 - 06:22 pm: |
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That's excellent news,Colin.Put it only in the Premium and all the wanna be rampers will HAVE to sign up[except for me that is,C make the rest PAY]
Today I did the VWAP on BTV-It'd heavily traded at 54 before closing at 53.VWAP=52.5 which confirms a strong resistance at 53 if you look at the chart and understand I'm dropping decimal points and zeros.
Now the other interesting thing with the VWAP is BTV is just under the 30SMA average price by close but Colin I'm taking bets it'd be what 5points maybe 10%ish under VWAP price by volume.
It'll be handy,valid Colin,you wait and remember my free version request,hey?
regards,
John.
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colin_twiggs
Member
Username: colin_twiggs
Post Number: 2064
Registered: 09-2002Rating: N/A
Votes: 0
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| | Thursday, September 15, 2005 - 06:50 pm: |
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Thanks Dug,
I'll take a look.
This should make you enough money that you can afford the premium version.
Regards,
Colin
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dug
Member
Username: dug
Post Number: 305
Registered: 07-2005Rating: N/A
Votes: 0
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| | Thursday, September 15, 2005 - 07:14 pm: |
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I'm pretty staunch on having it Free,Colin.About as staunch as I am on Quid pro Quo.
I might be able to get HC to go premio IllC,what i can do!
cheers,
jr
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dug
Member
Username: dug
Post Number: 370
Registered: 07-2005Rating: N/A
Votes: 0
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| | Sunday, September 25, 2005 - 01:10 pm: |
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Some thoughts on VWAP,Colin.
I think it should be calculated Simple not exponentially[how ever it's spelt]
It is only Short Term say 30days Max.
I don't think 200day VWAP compared to a Moving Average will 'help'[could be wrong but]
I think in using it Short Term at least that it is based on Historical Price as in the Actual Buy/Sell prices in the days before not 'adjusted' for new issues etc as is currently befogging me with AUZ at the moment.[see General]
Anyway,I'm wondering if you,Colin,worked VWAP into the Twigg Money Flow if it might be a 'patentable'IC product?
I'm working out VWAP for use in d'Swamp of the penny-antes.It'd be real interesting if you,Colin,could get me some Back Figures of $$ daily turnover for AUZ,just the last 10 days would be pertinent.
How's getting VWAP IC goin'?
regards.
Dig for it.
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msparks
Member
Username: msparks
Post Number: 213
Registered: 10-2004Rating: N/A
Votes: 0
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| | Sunday, September 25, 2005 - 04:24 pm: |
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Hi DUG
Have you looked at volume by price.
Shows how many bought at what price level.
Perhaps not accurate enough to show the volume by decimal point move ? BUT shows most of the buys are over the 5 cent level.
Perhaps a better indicator than VWAP ?
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dug
Member
Username: dug
Post Number: 371
Registered: 07-2005Rating: N/A
Votes: 0
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| | Sunday, September 25, 2005 - 05:13 pm: |
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Hi msparks,
The problem is that the above Volume indicator is calculated only on closing price.That's what's used to classify it.
With wide ATR and or major buyers/sellers within the price range being thus 'ignored' in calculation,it becomes 'irrelevant' compared to VWAP which gives a Volume Weighted Average Price[VWAP],do you see it yet,MM?
When 'agents' like Investment Companies are acting for MAJOR clients say Packers or Pratts,they guarantee their buying to be VWAPped.Like MM these are not the tools currently available to dills like us who just put in relatively irrelevant bids,easily filled etc.
BUT I still believe a VWAP indicator may be very beneficial.
Perhaps we'd know more and be more positive if some Yank wrote a book about it?
Happy Trading,
jr
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colin_twiggs
Member
Username: colin_twiggs
Post Number: 2101
Registered: 09-2002Rating: N/A
Votes: 0
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